Yes, a empty space between the insulation and the cement board.
Seal off the insulation with something like drywall, sheet metal, corrugated tin etc to keep it from getting dirty. Depending on the type insulation you use, pink fiberglass insulation will shed insulation dust or particles that you do not want to breathe. Other types of insulation may be a fire hazard if it gets hot. Then leave an air gap between the material and the cement board. At this point we should ask what type wall construction and what type insulation you are using.
The air gap creates a natural chimney to cool the cement board and keep the wall cool.